Ok. Create a new doc about 100x15 pixels. Set the background to transparent.

Click the rectangular marquee tool and set the rounding option to 6.0 . Draw a rectangle that covers the whole canvas and fill it with a gray/black color. Not too dark though.

Create a new layer and fill your selection again with any color. This color is the color of your warning bar. Right click on your new layer and select add layer mask. Keep the default settings and hit OK. Right click on the layer again and select show mask.

You should see a white rounded rectangle. Take a black brush and paint black in the rectangle anywhere you don't want to see color. Viola! Warning bar.